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Leong was born in Macao when she was called as Leong Lok-yau (梁乐瑶) as a natural daughter. She has an older sister by seven years.[1]

Leong's father, Luís Alberto Marques Nolasco da Silva (Macau, Sé, 8 August 1951 - Macau, São Lourenço, 20 January 1989),[2][3] was a descendant of NolascodaSilva Group (殷理基家族), one of the prominent Macanese families in Macao. Her father was born in Macao, to Frederico Joao Moreira de Sousa Teles de Menezes, a Portuguese father and Terry Marques Nolasco, a Chinese woman living in Portugal.[4] Frederico Joao is the sixth generation of the family, former President of the Macau Football Association.[5] Leong's father has 2 elder brothers: Henrique and Frederico, one younger brother Jose Manuel.[6]

Leong's father concealed his family and her parents lived together. He died from drug overdoses when she was only 6 months old. Leong had never received recognition from her paternal family so she takes her mother's surname. Leong's mother worked as a croupier in Casino Lisboa, Macau.[7] Leong's mother could not bear to be too tired and Leong forced to join the entertainment.[8]

She later began singing and released her debut album, Isabella when she was 16 years old. Isabella did not achieve the success hoped for and Leong subsequently debuted with acting. From 2005 to 2007, she made a string of films including The Eye 10, Bug Me Not!, Isabella, Diary, and Spider Lilies.

Emperor Entertainment Group filed a lawsuit in the High Court on 3 April 2008 to seek damages from Leong for breaking a 10-year contract which Leong's mother signed for her when she was only 12 years old. Leong filed a writ against the company on 27 April.[10] In November 2008, the legal battle between Leong and EEG ended in an out-of-court settlement, with the star "free to pursue her career".[12]

In 2008, Leong met Hong Kong billionaire Richard Li, son of billionaire Li Ka-shing, on a movie set, when she was 20 and he was 41.[13] In April 2009, Leong gave birth to their first son Ethan Li Cheung Tsz. For this, Leong was allowed to use Li's family mansions in San Francisco. They also provided her with an entourage of care-givers, including five bodyguards, four full-time nannies and a personal attendant.[14]Channel News Asia noted some speculation about a large pre-nuptial agreement.[14] A 100-day-old banquet was held for her son from July 9–11, 2009, for three consecutive days, with some of the city's celebrities like Stanley Ho and his second wife Lam Wan Ying, and Tsang Yam Pui and his wife spotted in attendance.[15]